I am using a paid plug-in (uses an iLok) which, when you initially scan for plug-ins, pops up an activation window. This works fine in tracktion 4, but when I use the demo VST Host code, it crashes every time. I assume this is due to the popup being needed during scanning.
It appears to blowup inside of findOrCreateModule in juce_VSTPluginFormat.cpp (m->open()). More specifically in juce_win32_Threads.cpp (LoadLibrary).